I'm interested in learning how to adjust my own futures contracts for analysis. Unfortunately my quantitative classes didn't really go into this, and I would like to learn it on my own. The methods ...

Lets assume a FIFO rules in futures, I buy a contract and id like to sell it. Should I estimate the possibilite of orders on opposite side would be filled first? If I watch new orders incoming at new ...

I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the ...

This question is about something observed hands on data that makes me a little confused.
Consider the term structure of futures on VIX of Monday, December 27, 2010. You can find it at the CFE market ...

What are some possible sources to obtain Eurex level 2 historical order book data from?
Unfortunately I have only been able to find 1 source - namely Eurex itself, which charges 2000 Euro/month for ...

An airline expects to purchase 2 million gallons of jet fuel in 1 month and decides
to use heating oil futures for hedging.
The variance of the heating oil futures price is 1,5 times bigger then the ...

Different asset classes have different important news announcements that move the markets intraday. For instance, oil volatility increases after the EIA Petroleum Status Report, but that announcement ...

I used the daily returns of SPX Index, SPY US Equity, and SPA Index. I then calculate their standard deviation as hedging instruments with respect to SPX Index, i.e., (spx_ret - spy_ret) or (spx_ret - ...

So for the backtesting , is it necessary to make an adjustment for the last day of the current contract and the first day of the next far contract? Even if there's is a gap, that's the actual price, u ...

I'm a VIX newbie and I'm trying to understand why the VIX futures market is usually in a state of contango.
All I can figure is that the sellers of VIX futures contracts demand high "prices" (because ...

I wanted to quickly confirm some simple calculations for the Black 76 greeks and was making use of the formulas on this website:
http://riskencyclopedia.com/articles/black_1976/
I have an issue with ...

If I am not wrong, EURIBOR3M futures with maturity $T$, whose price is $F_{T}$, are quoted like contracts which express the underlying forward rates, $r_{T}$, as
$$r_{T}=\frac{100-F_{T}}{100}$$
Now ...

I would like to model Korean government bond futures.
So far I know two concepts (just a short, incomplete description)
cash-settled futures (e.g. Australia): The average yield of a basket of bonds ...

PCA seems to be very popular in dimension reduction applications and for extracting the top PCs which explain the data. One such application in futures is on the term structure to obtain the level, ...